A Maximum Principle for Stochastic Control with Partial Information

REFERENCES

• Bensoussan , A. 1983 . Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions . Stochastics 9 : 169 – 222 .
   Google Scholar
• Elliott , R.J. , and Kohlmann , M. 1989 . The variational principle for optimal control of diffusions with partial information . Systems and Control Letters 12 : 63 – 89 .
   Web of Science ®Google Scholar
• Framstad , N. , Øksendal , B. , and Sulem , A. 2004 . Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance . J. Optim. Theory Appl. 121 ( 1 ): 77 – 98 . [Errata. 2005. 124(2):511–512.]
   Web of Science ®Google Scholar
• Jin , H. , and Zhou , X. 2005 . Continuous time Markowitz's problems in an incomplete market, with constrained portfolios . Manuscipt .
   Google Scholar
• Kohlmann , M. 1978 . Optimality conditions in optimal control of jump processes – extended abstract . Proceedings in Operation Research, 7 (sixth Annual Meeting, Deutsch. Gesellsch. Operation Res., Christian-Albrechts-Univ., Kiel, 1977), 48–57, Physica, Wizburg .
   Google Scholar
• Øksendal , B. , and Sulem , A. 2007 . Applied Stochastic Control of Jump Diffusions. , 2nd edition . Springer-Verlag , Berlin .
   Google Scholar
• Tang , S. 1998 . The maximum principle for partially observed optimal control of stochastic differential equations . SIAM J. Control Optimi. 36 ( 5 ): 1596 – 1617 .
   Web of Science ®Google Scholar